Optimal rate of convergence in periodic homogenization of viscous Hamilton-Jacobi equations

Abstract

We study the optimal rate of convergence in periodic homogenization of the viscous Hamilton-Jacobi equation $u^\varepsilon_t + H(\frac{x}{\varepsilon},Du^\varepsilon) = \varepsilon \Delta u^\varepsilon$ in $\mathbb R^n\times (0,\infty)$ subject to a given initial datum. We prove that $\|u^\varepsilon-u\|_{L^\infty(\mathbb R^n \times [0,T])} \leq C(1+T) \sqrt{\varepsilon}$ for any given $T>0$, where $u$ is the viscosity solution of the effective problem. Moreover, we show that the $O(\sqrt{\varepsilon})$ rate is optimal for a natural class of $H$ and a Lipschitz continuous initial datum, both theoretically and through numerical experiments. It remains an interesting question to investigate whether the convergence rate can be improved when $H$ is uniformly convex. Finally, we propose a numerical scheme for the approximation of the effective Hamiltonian based on a finite element approximation of approximate corrector problems.